* 3 Results enter search term Search Reset filter Suchfilter Content Type Publications (3) Publication Type Working Paper (3) Research International Macroeconomics (3) Macroeconomic Research (3) Experts Thomas Lux (3) Jaba Ghonghadze (1) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Publication Type: Working Paper Experts: Thomas Lux Tags: Fokker-Planck equation Remove all filters Working Paper Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach 01.02.2009 This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a... Working Paper Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach 01.07.2012 Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical... Working Paper Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach 01.01.2013 Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical...
Working Paper Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach 01.02.2009 This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a...
Working Paper Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach 01.07.2012 Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical...
Working Paper Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach 01.01.2013 Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical...